V-Lab: AEX-Index MF2-GARCH Volatility Analysis

V-Lab

AEX-Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:17.06% (-0.86%)

Analysis last updated: Monday, January 17, 2022, 04:37 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.00
$β$	0.8399	215.70
$γ$	0.1787	38.31
$λ_{1}$	0.0085	3.91
$λ_{2}$	0.0487	3.53
$λ_{3}$	0.9445	60.06

Estimation Period:
Jan 1, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

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